An asymptotic test for the Conditional Value-at-Risk

Péter Vékás

Corvinus Economics Working Papers (CEWP) from Corvinus University of Budapest

Abstract: Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

Keywords: risk measures; Conditional Value-at-Risk; hypothesis testing; actuarial science (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Date: 2015-10-21
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cvh:coecwp:2015/19

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